Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0799 |
| Annualized Std Dev | 0.4919 |
| Annualized Sharpe (Rf=0%) | -0.1624 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4296.0000 |
| NAs | 1.0000 |
| Minimum | -0.5927 |
| Quartile 1 | -0.0085 |
| Median | 0.0001 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | -0.0003 |
| Quartile 3 | 0.0089 |
| Maximum | 1.0597 |
| SE Mean | 0.0005 |
| LCL Mean (0.95) | -0.0008 |
| UCL Mean (0.95) | 0.0011 |
| Variance | 0.0010 |
| Stdev | 0.0310 |
| Skewness | 8.1392 |
| Kurtosis | 383.6708 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0197 |
| Gain Deviation | 0.0306 |
| Loss Deviation | 0.0243 |
| Downside Deviation (MAR=210%) | 0.0234 |
| Downside Deviation (Rf=0%) | 0.0197 |
| Downside Deviation (0%) | 0.0197 |
| Maximum Drawdown | 0.9733 |
| Historical VaR (95%) | -0.0299 |
| Historical ES (95%) | -0.0570 |
| Modified VaR (95%) | NA |
| Modified ES (95%) | NA |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2013-12-03 | 2020-03-18 | NA | -0.9733 | 1837 | 1583 | NA |
| 2007-07-13 | 2008-10-10 | 2013-02-06 | -0.7770 | 1403 | 316 | 1087 |
| 2005-08-01 | 2005-12-28 | 2006-11-15 | -0.2000 | 328 | 105 | 223 |
| 2013-03-28 | 2013-06-24 | 2013-12-02 | -0.1607 | 173 | 61 | 112 |
| 2004-03-02 | 2004-05-10 | 2004-09-20 | -0.1542 | 140 | 49 | 91 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2004 | NA | 0 | -0.2 | 0.2 | -0.8 | -0.7 | 0.7 | 0.2 | 2.3 | 1.5 | 1 | 0.9 | 5.2 |
| 2005 | 0.4 | 1.2 | 0.9 | 0.3 | -0.1 | 2.9 | -0.4 | -1.1 | 0 | 0.5 | -0.4 | 1.5 | 5.6 |
| 2006 | 1.7 | 0.5 | -3.1 | -0.2 | 0.2 | 0.9 | -0.3 | 1.2 | 0.7 | -1.4 | 0.5 | 0.8 | 1.5 |
| 2007 | 1.7 | 0.5 | 1.1 | -1.5 | -0.3 | 2.5 | -6 | 2.6 | -0.1 | 0 | 2 | 2.4 | 4.6 |
| 2008 | 2.9 | -2.5 | 1.3 | 0.2 | 0 | -0.7 | 2.7 | -0.8 | 1.5 | 1.2 | -7.5 | 2.2 | -0.1 |
| 2009 | 0.2 | 3.1 | -3.1 | 1.6 | 0.9 | -1.8 | 0.9 | -6 | -4.9 | 0.1 | -0.8 | -4.9 | -14.1 |
| 2010 | 1.2 | 0.1 | 2.5 | 0.7 | -1.4 | -0.8 | 1.2 | 1.5 | 0.5 | 2.7 | 2.2 | 2.7 | 13.9 |
| 2011 | -0.1 | -0.1 | -0.9 | 0.5 | 0 | 0.1 | 1.3 | -1.1 | -2.2 | -1.7 | 1.6 | 0 | -2.6 |
| 2012 | 1.7 | -0.5 | 0 | -0.8 | 0.7 | 2.9 | -0.7 | 0.6 | -0.1 | 0 | 0.8 | 2.1 | 6.9 |
| 2013 | 0.9 | 0.4 | -1.2 | -0.8 | -2.5 | 1.6 | -0.3 | -3.9 | 0.9 | -0.6 | 1.3 | 0.8 | -3.6 |
| 2014 | 1.5 | 0.8 | 0.9 | -0.1 | 0.5 | -0.2 | -1 | 0.9 | -0.6 | -0.3 | -3.6 | -0.8 | -2.3 |
| 2015 | 0.5 | 0.1 | 0.3 | 0.1 | -0.2 | -1.6 | -2.2 | -0.7 | 3.4 | 3 | -1.4 | 8.1 | 9.4 |
| 2016 | -3.2 | 2.6 | -2 | 1.2 | 4 | -0.1 | -2.4 | -1 | 1 | 0.4 | -0.9 | -0.1 | -0.7 |
| 2017 | 4.5 | -0.4 | 1.4 | -0.5 | 0.7 | 2.6 | 1.1 | 0.8 | -0.1 | 2.2 | 1.5 | 0.7 | 15.3 |
| 2018 | 2 | -1.2 | 1.5 | 0.2 | 0.6 | 0.8 | 0.1 | -0.7 | 1.2 | 2 | 0 | 0.5 | 7.2 |
| 2019 | 0.7 | 0.7 | 1.8 | 0.7 | -0.8 | -0.1 | -1.3 | 0.5 | -1.8 | 1.6 | -0.4 | 0.7 | 2.1 |
| 2020 | -1.4 | -2.7 | -5.1 | -6.9 | -1.3 | -1.5 | -1.1 | -0.7 | -1.1 | -1.6 | 1 | 0.3 | -20.2 |
| 2021 | 0.3 | 3.8 | 1.9 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 6.1 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2004-02-25 100 SPY 115. 4.20e-3 -0.0068 -0.0086 0.102 0.360 -0.119 -0.0755 <NA> NA NA NA
2 2004-02-26 103. SPY 115. 6.00e-4 -0.0025 0.0023 0.0886 0.381 -0.105 -0.099 <NA> NA NA NA
3 2004-02-27 104. SPY 115. 7.00e-4 0.00120 0.0146 0.0852 0.364 -0.0844 -0.0979 <NA> NA NA NA
4 2004-03-01 104 SPY 116. 9.90e-3 0.0137 0.0236 0.092 0.368 -0.0767 -0.0726 <NA> NA NA NA
5 2004-03-02 104. SPY 115. -5.90e-3 0.0095 0.0176 0.0848 0.373 -0.0759 -0.0692 <NA> NA NA NA
6 2004-03-03 103. SPY 116. 1.80e-3 0.0071 0.0151 0.0752 0.398 -0.0935 -0.0637 <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
